Jerome Teiletche

Unigestion

Head of Cross Asset Solutions

8c, avenue de Champel CP 387

CP 387

Genève 12, CH 1211

Switzerland

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 5,545

SSRN RANKINGS

Top 5,545

in Total Papers Downloads

8,232

SSRN CITATIONS
Rank 21,294

SSRN RANKINGS

Top 21,294

in Total Papers Citations

4

CROSSREF CITATIONS

37

Scholarly Papers (16)

1.

Generalized Risk-Based Investing

Number of pages: 43 Posted: 24 Jan 2013 Last Revised: 20 Apr 2013
Emmanuel Jurczenko, Thierry Michel and Jerome Teiletche
Glion Institute of Higher Education, Lombard Odier & Cie and Unigestion
Downloads 2,730 (4,775)
Citation 8

Abstract:

Loading...

Risk-Based Investing, Minimum Variance, Risk Parity, Maximum Diversification, Equal-Weight, Low-Vol Anomaly

2.

An Alternative Approach to Alternative Beta

Number of pages: 17 Posted: 30 Nov 2007
Thierry Roncalli and Jerome Teiletche
Amundi Asset Management and Unigestion
Downloads 1,752 (10,030)
Citation 21

Abstract:

Loading...

Hedge funds, factor models, beta, alpha, replication, Kalman filter

3.

Factor Timing Revisited: Alternative Risk Premia Allocation Based on Nowcasting and Valuation Signals

Number of pages: 28 Posted: 28 Sep 2018 Last Revised: 23 Feb 2020
Olivier Blin, Florian Ielpo, Joan Lee and Jerome Teiletche
Unigestion SA, Unigestion, Unigestion and Unigestion
Downloads 827 (31,202)
Citation 4

Abstract:

Loading...

Alternative Risk Premia, Carry, Trend-Following, Momentum, Equity Factors, Risk-Based Investing, Macro Regimes, Asset Allocation

4.

Revisiting the Dependence between Financial Markets with Copulas

Number of pages: 45 Posted: 26 Nov 2007 Last Revised: 03 Apr 2009
Arnaud Costinot, Thierry Roncalli and Jerome Teiletche
Massachusetts Institute of Technology (MIT) - Department of Economics, Amundi Asset Management and Unigestion
Downloads 509 (59,176)
Citation 16

Abstract:

Loading...

Linear correlation, extreme value theory, quantile regression, concordance order, Deheuvels copula, contagion, Asian crisis

5.

Macro Factor Mimicking Portfolios

Number of pages: 39 Posted: 02 May 2019 Last Revised: 07 Dec 2019
Emmanuel Jurczenko and Jerome Teiletche
Glion Institute of Higher Education and Unigestion
Downloads 410 (77,088)

Abstract:

Loading...

factor investing, mimicking portfolios, portfolio optimization, macro risk management, machine learning

6.

An Empirical Investigation of the VaR of Hedge Funds

Number of pages: 22 Posted: 25 Mar 2008
Jerome Teiletche and Florent Pochon
Unigestion and Olympia Capital Management
Downloads 396 (80,222)

Abstract:

Loading...

Value at Risk, Hedge Funds, GARCH, Backtesting

7.

The Euro-Dollar Exchange Rate: A Long Term Perspective

Number of pages: 29 Posted: 25 Mar 2008
Jerome Teiletche
Unigestion
Downloads 351 (92,272)

Abstract:

Loading...

real exchange rate, fundamentals, cointegration, forecasting, bootstrap

8.

A Conditional Approach to Hedge Fund Risk

Number of pages: 28 Posted: 25 Mar 2008
Jerome Teiletche and Florent Pochon
Unigestion and Olympia Capital Management
Downloads 282 (117,216)

Abstract:

Loading...

hedge funds, risk, mixture models, stress tests

9.

Reconsidering Asset Allocation Involving Illiquid Assets

Number of pages: 22 Posted: 25 Mar 2008
Dan Cao and Jerome Teiletche
Georgetown University - Department of Economics and Unigestion
Downloads 275 (120,359)
Citation 1

Abstract:

Loading...

illiquidity, smoothing, alternative assets

10.

The Ultra-High Frequency Dynamics of European Bond Yields

Number of pages: 35 Posted: 25 Mar 2008
Jerome Teiletche and Charlotte Lespagnol
Unigestion and affiliation not provided to SSRN
Downloads 273 (121,259)

Abstract:

Loading...

C14, C22, G14

11.

Performances of Hedge Funds and Standard Assets: A Systematic Investigation

Number of pages: 50 Posted: 25 Mar 2008
Jerome Teiletche and Yann Tampereau
Unigestion and affiliation not provided to SSRN
Downloads 170 (190,373)

Abstract:

Loading...

Hedge funds, asset allocation, extreme risk, factor models

12.

Emerging Sovereign Bond Markets: A View from the Extremes

Regional Currency Areas in Globalization, Patrick Artus, André Cartapanis et Florence Legros, Edward Elgar Publishers, 2005
Number of pages: 42 Posted: 26 Nov 2007
Pierre Laurent and Jerome Teiletche
affiliation not provided to SSRN and Unigestion
Downloads 97 (292,060)

Abstract:

Loading...

13.

Foreign-Exchange Intervention Strategies and Market Expectations: Insights from Japan

Number of pages: 36 Posted: 04 Jul 2008
Jean-Yves Gnabo and Jerome Teiletche
Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Unigestion
Downloads 89 (308,398)
Citation 2

Abstract:

Loading...

Central Bank Interventions, Event Studies, Communication Policy, Risk Neutral Density

14.

Do Interventions in Foreign Exchange Markets Modify Investors' Expectations? The Experience of Japan between 1992 and 2003

CEREG - Cahier de recherche No. 2005-04
Number of pages: 38 Posted: 25 Mar 2008
Jerome Teiletche and Christophe Morel
Unigestion and Université Paris Dauphine - DRM-CEREG
Downloads 71 (352,383)
Citation 1

Abstract:

Loading...

FX interventions, risk-neutral density, event study, bootstrap, Bank of Japan

15.

Active Risk-Based Investing

Posted: 22 May 2019
Emmanuel Jurczenko and Jerome Teiletche
Glion Institute of Higher Education and Unigestion

Abstract:

Loading...

Risk-based investing, risk parity, Black-Litterman, risk budgeting, tactical asset allocation

16.

On the Properties of Equally-Weighted Risk Contributions Portfolios

Posted: 21 May 2019
Sébastien Maillard, Thierry Roncalli and Jerome Teiletche
Lyxor Asset Management, Amundi Asset Management and Unigestion

Abstract:

Loading...

Asset allocation, risk contributions, minimum-variance, portfolio construction, risk budgeting, portfolio diversification